【摘要】 内部评级法是巴塞尔新资本协议的核心内容之一,而计算客户违约概率(PD)是实施内部评级法的关键步骤。文章在结合我国国有商业银行实际数据的基础上,利用正向逐步选择法(forwardstepwise)构建了较为科学的信用风险评估指标体系,通过Logistic回归模型构建了违约概率的测算模型。实证结果表明,模型可以作为较为理想的预测工具。更多还原

【Abstract】 Internal ratingbased approach is one of the main contents of New Basel Accord, while calculating clients’ probability of default is a key procedure of practicing internal ratingbased approach. Based on the practical data of China’s stateowned commercial banks, this paper constructs a rather scientific credit risk evaluating system by forward stepwise, and predicting models of probability of default by logistic regression model. Experimental results prove that this model can serve as an ideal predicting instrument.更多还原